You create textures inside the Mesh Editor
After opening, goto Material Editor (Press 5)
Then press (m) or on the menubar, choose Material -> Material Edit.
If you read the manual, you know it naming is material.png for diffuse, material.n.png for normal map, material.s.png for spec map ect
Now, with the material edit window open, select the materials (def,normal,spec ect for the texture) and drop onto the editor window.
Select File -> Save to save your map (put it into the data/Mtrl folder) and now you can choose the texture in the world editor.
(incase you missed it, in the English.chm help file, under (tools -> mesh editor) scroll down to "MATERIAL mode" for more help on naming and dropping materials into material editor.